Malliavin calculus for two-parameter processes
D. Nualart, M. Sanz (1985)
Annales scientifiques de l'Université de Clermont-Ferrand 2. Série Probabilités et applications
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D. Nualart, M. Sanz (1985)
Annales scientifiques de l'Université de Clermont-Ferrand 2. Série Probabilités et applications
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Rémi Léandre (2002-2003)
Séminaire Équations aux dérivées partielles
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Friedrich Roesler (2000)
Acta Arithmetica
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Samy Tindel (2000)
Applicationes Mathematicae
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We consider the equation du(t,x)=Lu(t,x)+b(u(t,x))dtdx+σ(u(t,x))dW(t,x) where t belongs to a real interval [0,T], x belongs to an open (not necessarily bounded) domain , and L is a pseudodifferential operator. We show that under sufficient smoothness and nondegeneracy conditions on L, the law of the solution u(t,x) at a fixed point is absolutely continuous with respect to the Lebesgue measure.
Tien Dung Nguyen (2016)
Applications of Mathematics
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Stochastic Riccati equation is a backward stochastic differential equation with singular generator which arises naturally in the study of stochastic linear-quadratic optimal control problems. In this paper, we obtain Gaussian density estimates for the solutions to this equation.
Pantić, Dražen (1995)
Southwest Journal of Pure and Applied Mathematics [electronic only]
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Rémi Léandre (2005)
SORT
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We give a generalization in the non-compact case to various positivity theorems obtained by Malliavin Calculus in the compact case.
Rémi Léandre (2005)
Annali della Scuola Normale Superiore di Pisa - Classe di Scienze
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We produce a stochastic regularization of the Poisson-Sigma model of Cattaneo-Felder, which is an analogue regularization of Klauder’s stochastic regularization of the hamiltonian path integral [23] in field theory. We perform also semi-classical limits.
Iwo Labuda, R. Daniel Mauldin (1984)
Colloquium Mathematicae
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D. Candeloro, A. Martellotti (1996)
Collectanea Mathematica
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As an application of a theorem concerning a general stochastic process in a finitely additive probability space, the existence of non-atomic countably additive restrictions with large range is obtained for group-valued finitely additive measures.